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Polyolefin/clay nanocomposites are mainly prepared by melt mixing, solution, and in situ polymerization approaches. Among them, the last one is more attractive because the dispersion obtained through in situ polymerization is the most efficient, particularly, in the fully exfoliated polyolefin/clay nanocomposite formation. The clay-supported coordination catalysts, i.e. Ziegler–Natta, metallocene, and late transition metal catalysts, were applied to olefins polymerization in order to produce the polyolefin/clay nanocomposites. This review presents the studies reported on the use of the clay-supported Ziegler–Natta catalysts for polymerizing the olefins, which provided that detailed examples reported in the open literature. The emphasis is placed on the production of the polyolefin/clay nanocomposites via in situ polymerization.